Ah my own mental world, so many things that would go into that with my head.
As for the setting of my mind, I'd think that it would be a massive industrial city (similar to the 'Mega City' from the Matrix) although without the mass amount of people. Infact I wouldn't expect that many people being there besides myself...expect various mental representations of people and characters I know.
There would most likely be a forest too...and sewers...'Note to Self, never leave city without massive firepower jsut incase.'
(Also there would also be a massive movie theater, one that contains every memory I have and a copy of every show/movie I have ever seen. Just felt like mentioning that.)
A certin thing about my mental world is that it would be filled with various monsters (from the various games/shows/manga I read/watch/play) and other creatures for me to beat the unholy hell out of on bad days. You have no idea how many times I've gotten home after a crappy day of work/school and had the urge to flatten something.
A badass spirital Katana (Zanpakuto) for slaying demons/monsters, A Pulse Rifle (from Aliens) for when I just don't feel like cleaning my sword, and a giant mecha (perhaps a Gundam) for the huge monsters and Robots.